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作者：Iancu, Dan A.; Sharma, Mayank; Sviridenko, Maxim
作者单位：Stanford University; International Business Machines (IBM); IBM USA; University of Warwick
摘要：This paper considers a particular class of dynamic robust optimization problems, where a large number of decisions must be made in the first stage, which consequently fix the constraints and cost structure underlying a one-dimensional, linear dynamical system. We seek to bridge two classical paradigms for solving such problems, namely, (1) dynamic programming (DP), and (2) policies parameterized in model uncertainties (also known as decision rules), obtained by solving tractable convex optimiz...
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作者：Philpott, Andy; de Matos, Vitor; Finardi, Erlon
作者单位：University of Auckland; Universidade Federal de Santa Catarina (UFSC)
摘要：We consider a class of multistage stochastic linear programs in which at each stage a coherent risk measure of future costs is to be minimized. A general computational approach based on dynamic programming is derived that can be shown to converge to an optimal policy. By computing an inner approximation to future cost functions, we can evaluate an upper bound on the cost of an optimal policy, and an outer approximation delivers a lower bound. The approach we describe is particularly useful in ...
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作者：Adlakha, Sachin; Johari, Ramesh
作者单位：California Institute of Technology; Stanford University
摘要：We study a class of stochastic dynamic games that exhibit strategic complementarities between players; formally, in the games we consider, the payoff of a player has increasing differences between her own state and the empirical distribution of the states of other players. Such games can be used to model a diverse set of applications, including network security models, recommender systems, and dynamic search in markets. Stochastic games are generally difficult to analyze, and these difficultie...
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作者：Cadenillas, Abel; Lakner, Peter; Pinedo, Michael
作者单位：University of Alberta; Ajou University; New York University
摘要：We assume that the cumulative consumer demand for an item follows a Brownian motion, with both the drift and the variance parameters modulated by a continuous-time Markov chain that represents the regime of the economy. The management of the company would like to maintain the inventory level as close as possible to a target inventory level and would also like to produce at a rate that is as close as possible to a target production rate. The company is penalized for deviations from the target l...
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作者：Washburn, Alan
作者单位：United States Department of Defense; United States Navy; Naval Postgraduate School
摘要：This paper considers abstract election games motivated by the United States Electoral College. There are two political parties, and the electoral votes in each state go to the party that spends the most money there, with an adjustment for a head start that one party or the other may have in that state. The states have unequal numbers of electoral votes, and elections are decided by majority rules. Each party has a known budget, and much depends on the information that informs how that budget i...
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作者：Allon, Gad; Deo, Sarang; Lin, Wuqin
作者单位：Northwestern University; Indian School of Business (ISB)
摘要：In recent years, growth in the demand for emergency medical services, along with decline in the number of hospitals with emergency departments (EDs), has raised concerns about the ability of the EDs to provide adequate service. Many EDs frequently report periods of overcrowding during which they are forced to divert incoming ambulances to neighboring hospitals, a phenomenon known as ambulance diversion. The objective of this paper is to study the impact of key operational characteristics of th...
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作者：Lopes, Leo; Smith-Miles, Kate
作者单位：SAS Institute Inc; Monash University
摘要：Generating valid synthetic instances for branch problems-those that contain a core problem like knapsack or graph coloring, but add several complications-is hard. It is even harder to generate instances that are applicable to the specific goals of an experiment and help to support the claims made. This paper presents a methodology for tuning instance generators of branch problems so that synthetic instances are similar to real ones and are capable of eliciting different behaviors from solvers....
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作者：Levi, Retsef; Shi, Cong
作者单位：Massachusetts Institute of Technology (MIT); University of Michigan System; University of Michigan
摘要：We develop new algorithmic approaches to compute provably near-optimal policies for multiperiod stochastic lot-sizing inventory models with positive lead times, general demand distributions, and dynamic forecast updates. The policies that are developed have worst-case performance guarantees of 3 and typically perform very close to optimal in extensive computational experiments. The newly proposed algorithms employ a novel randomized decision rule. We believe that these new algorithmic and perf...
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作者：Gong, Xiting; Chao, Xiuli
作者单位：Chinese University of Hong Kong; University of Michigan System; University of Michigan
摘要：This paper studies the optimal control policy for capacitated periodic-review inventory systems with remanufacturing. The serviceable products can be either manufactured from raw materials or remanufactured from returned products; but the system has finite capacities in manufacturing, remanufacturing, and/or total manufacturing/remanufacturing operations in each period. Using L-natural convexity and lattice analysis, we show that, for systems with a remanufacturing capacity and a manufacturing...
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作者：Chen, Yiwei; Farias, Vivek F.
作者单位：Renmin University of China; Massachusetts Institute of Technology (MIT)
摘要：We consider the classical single-product dynamic pricing problem allowing the scale of demand intensity to be modulated by an exogenous market size stochastic process. This is a natural model of dynamically changing market conditions. We show that for a broad family of Gaussian market-size processes, simple dynamic pricing rules that are essentially agnostic to the specification of this market-size process perform provably well. The pricing policies we develop are shown to compensate for forec...
